The risk measurement of Hushen 300 index futures market based on liquidity adjusted returns

被引：0
|
作者：
Liu, Xiang-Li [1 ]
Chang, Yun-Bo [1 ,2 ]
机构：
[1] School of Finance, Central University of Finance and Economics, Beijing,100081, China
[2] International Department, Agricultural Bank of China, Beijing,100005, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2015年 / 35卷 / 07期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：1760 / 1769
相关论文
共 50 条
  • [1] Empirical Evaluation of the Hedge Risk of Stock Index Futures based on Hushen 300 Simulation
    Sun, Yu
    INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 2, PROCEEDINGS, 2009, : 623 - +
  • [2] HuShen 300 stock index futures' optimal hedging ratio
    Liu, Rui
    Xiong, Qiyue
    EIGHTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III, 2009, : 1372 - 1377
  • [3] LIQUIDITY COSTS AND SCALPING RETURNS IN THE CORN FUTURES MARKET
    BRORSEN, BW
    JOURNAL OF FUTURES MARKETS, 1989, 9 (03) : 225 - 236
  • [4] Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk
    Yan Dan
    Gong Zhiyong
    2009 INTERNATIONAL CONFERENCE ON INFORMATION MANAGEMENT, INNOVATION MANAGEMENT AND INDUSTRIAL ENGINEERING, VOL 3, PROCEEDINGS, 2009, : 78 - +
  • [5] Measurement of HIS Stock Index Futures Market Risk Based on Value-at-Risk
    Gong Zhiyong
    Li Dingan
    PROCEEDINGS OF THE 15TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A-C, 2008, : 1906 - 1911
  • [6] Asymmetric effect of market liquidity demand shocks on price shocks Empirical studies based on the CSI 300 Index and the Futures
    Xu, Xinzhe
    Yang, Chaojun
    Chen, Daolun
    Chen, Gongmeng
    CHINA FINANCE REVIEW INTERNATIONAL, 2013, 3 (04) : 396 - 415
  • [7] Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
    Geetu Aggarwal
    Navdeep Aggarwal
    Asia-Pacific Financial Markets, 2021, 28 : 79 - 99
  • [8] Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
    Aggarwal, Geetu
    Aggarwal, Navdeep
    ASIA-PACIFIC FINANCIAL MARKETS, 2021, 28 (01) : 79 - 99
  • [9] The Effects of CSI 300 Futures on Chinese Stock Market's Liquidity-Empirical Study Based on Modified Martin Index
    Feng Jin
    Zheng Xiaodan
    PROCEEDINGS OF THE 3RD (2011) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS 1 AND 2, 2011, : 75 - 79
  • [10] Influence of the CSI 300 Stock Index Futures on the liquidity of the Stock Market of China-Analysis Based on the PSM and DID Method
    Zhao, Jinzhou
    Wang, Yongbo
    PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON MODERN MANAGEMENT, EDUCATION TECHNOLOGY, AND SOCIAL SCIENCE (MMETSS 2016), 2016, 91 : 133 - 140
12345